George Kapetanios

George Kapetanios is Professor of Finance and Econometrics at King's Business School. He joined King's in September 2015. He holds an MSc from the London School of Economics and Political Science and a PhD from Cambridge University. Prior to joining King's he worked at the National Institute of Economic and Social Research and the Bank of England. He was Professor at Queen Mary, University of London, where he was also Head of the School of Economics and Finance between 2007 and 2014.

George's main research focuses are on the econometrics of structural change, the analysis of large data sets and applications of these to empirical finance and macroeconomics. He has published widely in econometrics and finance. He has been, and continues to be, heavily involved in the development of innovative postgraduate degrees in finance with a special focus on graduate employability.

Publications

• Kernel-based Volatility Generalised Least Squares 01 December 2019
• Large time-varying parameter VARs: A nonparametric approach 01 November 2019
• Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market 01 November 2019
• A time-varying parameter structural model of the UK economy 01 September 2019
• A comprehensive evaluation of macroeconomic forecasting methods 01 January 2019
• Exponent of Cross-sectional Dependence for Residuals 01 September 2019
• A new approach for detecting shifts in forecast accuracy 01 October 2019
• Modelling in the presence of cross-sectional error dependence 01 January 2017
• Unconventional Monetary Policies and the Macroeconomy: The Impact of the UK's QE2 and Funding for Lending Scheme 24 October 2018
• A UK financial conditions index using targeted data reduction: Forecasting and structural identification 01 July 2018